| Metric | EQW | ^DJI | SPY | MV (120d) | BL (120d) |
|---|---|---|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% | 100.0% | 99.0% | 99.0% |
| Cumulative Return | 4,779.81% | 934.16% | 1,778.12% | 1,530.80% | 5,171.55% |
| CAGR﹪ | 13.78% | 8.07% | 10.23% | 9.72% | 14.08% |
| Sharpe | 0.76 | 0.52 | 0.61 | 0.56 | 0.89 |
| Prob. Sharpe Ratio | 100.0% | 99.78% | 99.96% | 99.89% | 100.0% |
| Smart Sharpe | 0.71 | 0.49 | 0.57 | 0.52 | 0.83 |
| Sortino | 1.09 | 0.74 | 0.86 | 0.8 | 1.3 |
| Smart Sortino | 1.02 | 0.69 | 0.81 | 0.75 | 1.22 |
| Sortino/√2 | 0.77 | 0.52 | 0.61 | 0.56 | 0.92 |
| Smart Sortino/√2 | 0.72 | 0.49 | 0.57 | 0.53 | 0.87 |
| Omega | 1.15 | 1.1 | 1.12 | 1.11 | 1.18 |
| Max Drawdown | -58.9% | -53.78% | -55.19% | -51.95% | -40.02% |
| Max DD Date | 2009-03-05 | 2009-03-09 | 2009-03-09 | 2009-03-05 | 2009-03-09 |
| Max DD Period Start | 2007-10-10 | 2007-10-10 | 2007-10-10 | 2007-07-18 | 2007-12-27 |
| Max DD Period End | 2010-12-09 | 2013-03-04 | 2012-08-15 | 2013-10-24 | 2010-12-22 |
| Longest DD Days | 1157 | 2450 | 2404 | 2291 | 1092 |
| Volatility (ann.) | 19.59% | 17.96% | 18.96% | 20.27% | 16.36% |
| Calmar | 0.23 | 0.15 | 0.19 | 0.19 | 0.35 |
| Skew | -0.06 | -0.17 | -0.06 | -0.18 | 0.28 |
| Kurtosis | 11.07 | 12.17 | 11.11 | 15.16 | 10.32 |
| Expected Daily | 0.05% | 0.03% | 0.04% | 0.04% | 0.05% |
| Expected Monthly | 1.08% | 0.65% | 0.81% | 0.77% | 1.1% |
| Expected Yearly | 13.36% | 7.83% | 9.92% | 9.42% | 13.64% |
| Kelly Criterion | - | - | - | - | - |
| Risk of Ruin | - | - | - | - | - |
| Daily Value-at-Risk | -1.97% | -1.82% | -1.92% | -2.06% | -1.64% |
| Expected Shortfall (cVaR) | -3.58% | -3.58% | -3.58% | -3.58% | -3.58% |
| Max Consecutive Wins | - | - | - | - | - |
| Max Consecutive Losses | - | - | - | - | - |
| Gain/Pain Ratio | - | - | - | - | - |
| Gain/Pain (1M) | - | - | - | - | - |
| Payoff Ratio | - | - | - | - | - |
| Profit Factor | 1.15 | 1.1 | 1.12 | 1.11 | 1.18 |
| Common Sense Ratio | - | - | - | - | - |
| CPC Index | - | - | - | - | - |
| Tail Ratio | 0.98 | 0.97 | 0.94 | 0.94 | 1.0 |
| Outlier Win Ratio | 3.92 | 4.29 | 4.11 | 3.79 | 4.61 |
| Outlier Loss Ratio | 3.77 | 4.08 | 3.78 | 3.59 | 4.38 |
| MTD | 2.37% | 2.57% | 5.17% | 1.49% | 2.33% |
| 3M | 10.2% | 10.94% | 12.06% | 11.83% | 11.59% |
| 6M | 13.08% | 14.12% | 16.79% | 14.17% | 14.19% |
| YTD | 2.06% | 3.83% | 6.85% | 6.29% | 7.37% |
| 1Y | 12.27% | 18.42% | 29.36% | 7.72% | 12.96% |
| 3Y (ann.) | 6.92% | 6.31% | 10.76% | 11.71% | 7.02% |
| 5Y (ann.) | 10.97% | 9.1% | 14.72% | 16.09% | 11.67% |
| 10Y (ann.) | 11.25% | 9.29% | 12.72% | 15.78% | 12.62% |
| All-time (ann.) | 13.78% | 8.07% | 10.23% | 9.72% | 14.08% |
| Best Day | 11.97% | 11.37% | 14.52% | 16.39% | 11.1% |
| Worst Day | -11.42% | -12.93% | -10.94% | -14.65% | -8.39% |
| Best Month | 19.0% | 13.95% | 12.7% | 24.36% | 14.63% |
| Worst Month | -15.87% | -15.13% | -16.52% | -17.51% | -14.83% |
| Best Year | 45.92% | 33.45% | 38.05% | 38.72% | 55.35% |
| Worst Year | -37.32% | -33.84% | -36.8% | -30.74% | -20.33% |
| Avg. Drawdown | -2.05% | -2.18% | -1.91% | -3.1% | -2.02% |
| Avg. Drawdown Days | 23 | 37 | 27 | 40 | 23 |
| Recovery Factor | - | - | - | - | - |
| Ulcer Index | 0.1 | 0.13 | 0.15 | 0.16 | 0.08 |
| Serenity Index | 1.45 | 0.64 | 0.72 | 0.73 | 1.42 |
| Avg. Up Month | 4.56% | 3.85% | 4.0% | 4.14% | 3.95% |
| Avg. Down Month | -5.05% | -5.01% | -4.95% | -4.76% | -3.79% |
| Win Days | 54.34% | 53.4% | 54.41% | 53.01% | 54.36% |
| Win Month | 65.75% | 62.71% | 65.19% | 62.36% | 64.61% |
| Win Quarter | 74.38% | 66.94% | 72.73% | 70.59% | 72.27% |
| Win Year | 83.87% | 74.19% | 80.65% | 80.65% | 83.87% |
| Year | EQW | ^DJI | SPY | MV (120d) | BL (120d) |
|---|---|---|---|---|---|
| 1994 | 10.95 | 1.92 | 0.81 | 10.20 | 8.64 |
| 1995 | 37.88 | 29.25 | 32.63 | 32.43 | 44.76 |
| 1996 | 27.60 | 23.85 | 21.15 | 9.12 | 29.65 |
| 1997 | 29.08 | 22.18 | 30.91 | 20.58 | 35.40 |
| 1998 | 28.98 | 16.90 | 27.71 | 19.90 | 24.96 |
| 1999 | 30.45 | 23.80 | 20.19 | -6.50 | -1.21 |
| 2000 | 12.30 | -4.22 | -7.41 | 15.63 | 35.06 |
| 2001 | 1.56 | -5.12 | -10.11 | -1.26 | -7.89 |
| 2002 | -15.61 | -15.11 | -20.83 | -14.78 | -5.96 |
| 2003 | 33.43 | 23.95 | 26.20 | 31.34 | 25.64 |
| 2004 | 13.69 | 3.69 | 10.78 | 1.21 | 9.11 |
| 2005 | 8.10 | -0.08 | 5.25 | 2.87 | 6.00 |
| 2006 | 18.09 | 15.58 | 15.21 | 18.58 | 26.86 |
| 2007 | 9.68 | 7.29 | 6.28 | 5.39 | 12.40 |
| 2008 | -37.33 | -34.13 | -37.36 | -27.81 | -17.35 |
| 2009 | 43.07 | 20.17 | 26.93 | 2.94 | 15.30 |
| 2010 | 17.77 | 11.76 | 15.63 | -0.98 | 12.64 |
| 2011 | 4.89 | 7.59 | 4.53 | 14.64 | 12.39 |
| 2012 | 17.95 | 7.69 | 15.64 | 11.85 | 15.46 |
| 2013 | 31.20 | 24.03 | 28.62 | 33.72 | 27.82 |
| 2014 | 16.48 | 7.84 | 13.27 | 13.12 | 12.45 |
| 2015 | 3.30 | -1.07 | 2.41 | 17.33 | 5.32 |
| 2016 | 16.56 | 13.38 | 12.18 | 3.32 | 11.93 |
| 2017 | 19.78 | 22.61 | 19.88 | 29.66 | 24.23 |
| 2018 | -5.89 | -4.20 | -3.23 | 7.75 | 6.24 |
| 2019 | 21.13 | 20.94 | 27.97 | 18.39 | 19.78 |
| 2020 | 14.81 | 13.82 | 22.47 | 30.17 | 23.31 |
| 2021 | 25.79 | 17.94 | 26.11 | 20.09 | 12.06 |
| 2022 | -3.61 | -7.24 | -17.13 | 14.63 | 0.40 |
| 2023 | 12.44 | 13.49 | 24.11 | 1.45 | 4.20 |
| 2024 | 2.14 | 3.81 | 6.73 | 6.25 | 7.20 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2010-12-09 | -58.90 | 1157 |
| 2020-01-21 | 2020-11-13 | -38.98 | 298 |
| 2001-05-22 | 2003-11-28 | -33.63 | 921 |
| 2022-01-13 | 2023-12-13 | -23.07 | 700 |
| 2011-05-11 | 2012-02-02 | -20.87 | 268 |
| 1998-07-20 | 1998-11-20 | -20.54 | 124 |
| 2018-01-29 | 2019-07-11 | -18.70 | 529 |
| 2000-01-18 | 2000-03-31 | -15.03 | 74 |
| 2001-02-02 | 2001-05-15 | -14.65 | 103 |
| 2015-05-22 | 2016-03-31 | -12.99 | 315 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2013-03-04 | -53.78 | 1973 |
| 2000-01-18 | 2006-10-02 | -37.85 | 2450 |
| 2020-02-13 | 2020-11-13 | -37.09 | 275 |
| 2022-01-05 | 2023-12-12 | -21.94 | 707 |
| 1998-07-20 | 1998-11-20 | -19.26 | 124 |
| 2018-10-04 | 2019-07-02 | -18.77 | 272 |
| 2015-05-20 | 2016-07-11 | -14.48 | 419 |
| 1997-08-07 | 1998-02-09 | -13.30 | 187 |
| 2018-01-29 | 2018-09-19 | -11.58 | 234 |
| 1999-08-26 | 1999-12-22 | -11.53 | 119 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2012-08-15 | -55.19 | 1772 |
| 2000-03-27 | 2006-10-25 | -47.52 | 2404 |
| 2020-02-20 | 2020-08-07 | -33.72 | 170 |
| 2022-01-04 | 2023-12-12 | -24.50 | 708 |
| 2018-09-21 | 2019-04-11 | -19.35 | 203 |
| 1998-07-21 | 1998-11-20 | -19.03 | 123 |
| 2015-07-21 | 2016-04-15 | -13.02 | 270 |
| 1999-07-19 | 1999-11-16 | -11.70 | 121 |
| 1997-10-08 | 1997-12-04 | -11.20 | 58 |
| 2018-01-29 | 2018-08-03 | -10.10 | 187 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-07-18 | 2013-10-24 | -51.95 | 2291 |
| 2002-03-20 | 2003-12-26 | -33.08 | 647 |
| 1998-11-30 | 2000-11-28 | -31.27 | 730 |
| 2020-02-13 | 2020-06-22 | -30.23 | 131 |
| 1998-07-20 | 1998-11-20 | -21.05 | 124 |
| 2001-05-17 | 2002-03-07 | -19.84 | 295 |
| 2020-09-02 | 2021-06-02 | -19.56 | 274 |
| 2000-11-30 | 2001-05-09 | -18.89 | 161 |
| 2015-07-17 | 2015-09-24 | -15.32 | 70 |
| 1997-08-08 | 1998-03-19 | -14.46 | 224 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-12-27 | 2010-12-22 | -40.02 | 1092 |
| 2002-05-24 | 2003-12-26 | -29.64 | 582 |
| 1999-07-19 | 2000-10-03 | -28.94 | 443 |
| 2020-02-11 | 2020-07-09 | -20.31 | 150 |
| 2022-04-21 | 2024-01-22 | -19.89 | 642 |
| 2001-01-03 | 2002-02-28 | -15.01 | 422 |
| 2011-05-13 | 2011-12-21 | -13.41 | 223 |
| 2018-12-04 | 2019-04-12 | -13.14 | 130 |
| 2015-03-03 | 2015-10-27 | -11.96 | 239 |
| 2018-01-29 | 2018-08-02 | -11.83 | 186 |